The downloading for JSTOR have recently changed.

New instructions are :

Use the Internet Explorer Browser
Log on to JSTOR in the usual way
Search using your desired keywords
Click on Save Citation next to the records you are interested in
Click on View Saved Citations
In the drop down menu choose “in a new window” and “in citation manager format” and click on Export
Click on Directly export citations into EndNote, Procite or Reference Manager.
In the File download window, click on open.
This will launch EndNote. Locate and Open the library you wish to transfer the records into.
The records will now be transferred into your desired EndNote library.